• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.125-162
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• 2003

This paper investigates the short- and long- run relationship among Korean, U.S. and Japanese construction indices. We conducted the Johansen's cointegration tests on the hypotheses that the construction indices of three countries we related in the long-run as well as in the short-run. The test results show that there exists no long-run relationship among three countrie's construction indices. In addition, the cointegrating relation did not exist for three countrie's stock market indices and five major Korean construction firms. It fumed out that the U.S. indices Granger-causes Japanese and Korean indices. This finding implies that there may exist international diversification benefit through forming a portfolio from these indices.

• Journal of Korea Port Economic Association
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• v.38 no.3
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• pp.87-104
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• 2022

Considering the complex structure and high volatility in the shipping market, it is important to investigate the connectedness amongst influencing factors. This study explores the dynamic relationship between supply-demand factors and shipping freight indices. We choose Capesize and Panamax in the bulk carrier market and use quarterly data of GDP, world fleet, BCI, and BPI from 1999 to 2021. Applying the wavelet analysis and wavelet Granger causality test, the simultaneous examination of co-movement and causality between two factors and the shipping market in both the time and frequency domains is achieved. We find that co-movement and causality vary across time and frequencies, thereby existing dynamic relationships between variables. Second, compared to multiple coherencies using demand and supply factors together, partial coherencies indicate noticeable causalities. It implies that analyzing demand and supply factors separately is essential. Finally, shipping freight indices show a high correlation with the demand factor in a good market and with the supply factor in a bad market. Generally, GDP positively leads shipping freights in the recovery phase while the world fleet negatively leads shipping freights in the downturn. The research is meaningful in that the rarely-applied wavelet analysis is adopted in the shipping market and that it gives a reasonable ground to explain the role of supply and/or demand factors in different phases of the market cycle.

• The Journal of the Korea Contents Association
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• v.22 no.8
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• pp.329-338
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• 2022

As the non-face-to-face economic situation developed due to the COVID-19 pandemic, untact stock groups appeared in the stock market. This study proposed the Korea COVID-19 fear index following the spread of infectious diseases in the COVID-19 pandemic situation and analyzed the influence on the untact stock and contact stock returns. The results of the empirical analysis are as follows. First, as a result of the Granger causality analysis using the Korea COVID-19 fear index, significant causality was found in the return of contact stocks such as Korean Air, Hana Tour, CJ CGV, and Paradise. Second, as a result of stock price prediction based on the LSTM model, Kakao, Korean Air, and Naver's prediction performance was high. Third, the investment performances of the Alexander filter entry rule using the predicted stock price were high in Naver futures and Kakao futures. This study can find a difference from previous studies in that it analyzed the influence of the spread of the COVID-19 pandemic on untact and contact stocks in the COVID-19 situation where the non-face-to-face economy is in full swing.

• Journal of the Economic Geographical Society of Korea
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• v.17 no.3
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• pp.554-566
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• 2014

This paper analyses the relationship between regional economic power defined as GRDP per capita and various socioeconomic variables such as fiscal variables(revenue, expenditure, etc.) as well as nonfiscal variables(population, ratio of old population, unemployment rate, dependency ration) using the pooling data of 16 local governments from 1998 to 2012. To put it concretely, following the Granger causality test, regression analysis has been done with the regional economic power being the dependent and variables which have either one or two direction causality being independent variables. And test of cumulative effects has been done with variables showing statistical significance in the regression analysis. Local tax revenues per capita, expenditures of social development per capita and median age have positive effects, while dependency ratio has negative effect on regional economy. And national subsidy per capita, local tax revenues per capita, expenditures of social development per capita and median age all have cumulative effects on regional economy.

• Journal of Convergence for Information Technology
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• v.11 no.9
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• pp.84-93
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• 2021

The purpose of this study is to analyze whether the spread of COVID-19 infectious diseases acts as a fear to investors and affects the direction and volatility of stock returns. The investor fear index was proposed using the domestic confirmed patient information of COVID-19, and the influence on stock prices was empirically analyzed. The direction and volatility models of stock prices used the Granger causality and GARCH models, respectively. The results of empirical analysis using the KOSPI index from February 20, 2020 to June 30, 2021 are as follows: First, the COVID-19 fear index showed causality to future stock prices. Second, the COVID-19 fear index has a negative effect on the volatility of KOSPI index returns. In future studies, it is necessary to document the cause by using individual business performance and stock price instead of the stock index.

• Journal of Korea Port Economic Association
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• v.36 no.4
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• pp.1-16
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• 2020

Since Korea has excellent port infrastructure and competitive petrochemical complexes, there is plenty of potential for creating an oil hub in Northeast Asia. In particular, Ship-to-Ship (STS), which creates high added values, contributes greatly to the national economy. In this study, the liquid cargo volumes of chemical industrial products, refined petroleum products, and crude oil were analyzed at the national and regional (Busan, Ulsan, and Yeosu/Gwangyang) levels. Additionally, a Granger causality analysis was performed between imports, exports, and transshipments, in pairs. ADF, PP, and KPSS were analyzed for the unit root test. In addition, the VAR model and expanded VAR model suggested by Toda and Yamamoto were used for further analyses. Findings revealed a difference in Granger causality depending on the region or cargo type. These findings suggest that policies and incentive schemes for ports need to be differentiated according to the region and cargo types. In addition, the different patterns in the relationship between transshipments and import-export petrochemical cargoes should be considered.

• Journal of Digital Convergence
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• v.17 no.1
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• pp.55-62
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• 2019

This study analyzed the relationship between housing price, purchase price, Gini coefficient, interest rate, and the employment, considering that the change in housing price was an important factor influencing macroeconomic variables and income inequality. The panel VAR model was constructed considering the panel data, and the Granger causality, Impulse response and Variance dispersion analysis were performed. As a result, when compared to before and after the global financial crisis, it was shown that the rent price had an effect on income inequality, but in the following period, both the rent price and the selling price affected the income inequality. And that it has a large impact on inequality. In addition, the causality between income inequality and employment rate, interest rate, and tax rate was confirmed. Therefore, it is expected that it will be a desirable policy to mitigate income inequality considering the influence of policy variables for economic activation including government real estate policy.

• Journal of Korea Port Economic Association
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• v.23 no.4
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• pp.159-175
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• 2007

The purpose of this study is to examine the causal relationship between trading volume of freight and industrial growth in Korea ports, and to induce policy implications. In order to test whether time series data is stationary and the model is fitness or not, we put in operation unit root test, cointegration test. And we apply Granger causality based on an error correction model, Hsiao(1981) method and variance decomposition. The results indicate that the extent of causality between trading volume of freight and industrial growth is strong in order of Incheon port, Busan port, Gwang Yang port, Ulsan port. We can infer policy suggestions as follows; The port policy of government must be focused on re-adjusting investment among Korea ports and raising competitive power of Korea ports

• Journal of Convergence for Information Technology
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• v.12 no.3
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• pp.116-125
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• 2022

The purpose of this study is to analyze whether investor anxiety caused by COVID-19 affects cryptocurrency prices in the COVID-19 pandemic, and to experiment with cryptocurrency price prediction based on a deep learning model. Investor anxiety is calculated by combining Naver's Corona search index and Corona confirmed information, analyzing Granger causality with cryptocurrency prices, and predicting cryptocurrency prices using deep learning models. The experimental results are as follows. First, CCI indicators showed significant Granger causality in the returns of Bitcoin, Ethereum, and Lightcoin. Second, LSTM with CCI as an input variable showed high predictive performance. Third, Bitcoin's price prediction performance was the highest in comparison between cryptocurrencies. This study is of academic significance in that it is the first attempt to analyze the relationship between Naver's Corona search information and cryptocurrency prices in the Corona phase. In future studies, extended studies into various deep learning models are needed to increase price prediction accuracy.

• Journal of the Korea Convergence Society
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• v.8 no.11
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• pp.383-391
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• 2017

This study examines the relationship between sentiment of speculators and price movements in the futures markets of WTI crude oil, copper, and wheat during the period 2003~2014 using Granger causality tests. The results indicate that speculative positions overall has no predictive power for returns in each futures market. Rather, returns seem to have effects on speculators' sentiment especially during periods of both economic expansion and recovery. During a recession, meanwhile, changes of speculators' sentiment index in the WTI crude oil and copper markets provide predictive power for returns in a positive direction, suggesting that speculators' pessimistic sentiment aggravates declines in commodity prices. Since the effects of speculative positions on market prices are ambiguous, tight regulations on speculative trading are not advisable. In a bearish market, however, regulatory bodies should consider raising speculative position limits because large speculative short positions and (or) liquidation of index traders' long positions may lead steep price declines.